The quarterly revision of the compilation list is done.  Charts, reports and datafiles are now updated to reflect the revised list are now complete and posted on the website. 

Leveraged or inverse ProShares, Direxion or Rydex|SGI sponsored ETFs do not have a “normal” list of constituents like other equity and fixed income ETFs.  Certainly they have constituents, but may include swaps, futures contracts and other derivatives constructed to achieve their stated objective.  They usually are constructed, however, to reflect an index made up of traditional constituent issues.  If a current and readily accessible constituent list is available for that index, we will add the index and display its constituents and breadth data for not only the index, but also the leveraged or inverse ETF.  If that seems a little confusing, here is a current example:

Because we are adding the ProShares Ultra Healthcare (RXL) we will also add a new index,  Dow Jones US Healthcare Index ($DJUSHC), the index which RXL is supposed to reflect.  So both of these issues are now on the compilation list.  We will use the constituent list and breadth data from the index for the ETF.  If a current, readily accessible constituent list for the base index is available, the leveraged or inverse ETF can be included in our compilation list.  ProShares happen to use indexes that are available.  Direxion not so much.

Click on the ETFs listed below as additions for their breadth report and numerous breadth charts.

The following ETFs are now added to the top 111 ETF list:

The following ETFs are removed from the top 111 ETF list (they are still available in the top 200 list, however):

The following ETFs are added to the top 200 ETF list (plus the added ETFs listed above)

The following ETFs are removed from the top 200 ETF list:

In the recent revision to MasterDATA’s compilation list, three RevenueShares ETFs ranked in the top 200 trade volume ETFs for the first time.  Previously, we were not collecting constituents lists on RevenueShares.  We now do.  Here are the new issues:

REVENUESHARES LARGE CAP FUND (RWL)
REVENUESHARES MID CAP FUND (RWK)
REVENUESHARES SMALL CAP FUND (RWJ)

Breadth data is now available on these three indexes with the MasterDATACSV Plus and MasterDATA Composite Plug-in Plus subscriptions.  Daily updated constituent lists are now included in Constituent List subscriptions.  Free charts and reports are available at MasterDATA or click on the issue names above.

We are starting a new section on the MasterDATA.com website about breadth indicators.  One indicator at a time will be added and discussed starting with the Advance Decline Line (AD Line).  On a regular basis, many additional breadth indicators will be presented.  Here is the URL:

http://www.masterdata.com/Indicators/Advance-Decline-Line.htm

My hope is to not only introduce many well establish, market tools, but also to start a growing conversation.  The more breadth analysis is talked about, the wider the usage and the more this approach will expand.  Towards this end, if you want to comment on the new section or using breadth data in general, your input is always greatly appreciated.  I hope you will share your input by commenting below (Click on “Comments”).

Thank you.

The quarterly compilation list revision is now complete.  Every quarter, ETFs that fall below the top 111 as measured by trade volume are deleted from the compilation list.  Historical breadth charts, reports and datafiles are generated on the “new” top 111. 

This quarter’s revision also makes available 70 additional ETFs for a total of 181 of the top trade volume US equity ETFs.  With the introduction of two new Dow indexes, there are now 33 covered indexes, a total of 214 indexes and ETFs in our compilation list.

To view the complete current compilation list, go to:

http://www.masterdata.com/Content/IndexesETFs.htm

Here are the additions to the top 111:

• Dow Jones U.S. Bank Index ($DJUSBK)
• Dow Jones U.S. Consumer Services Index ($DJUSCY)
• iShares Dow Jones U.S. Health Care Providers Index Fund (IHF)
• iShares Dow Jones U.S. Regional Banks Index Fund (IAT)
• iShares Dow Jones U.S. Utilities Index Fund (IDU)
• iShares Goldman Sachs Software Index Fund (IGV)
• iShares Russell 3000 Growth (IWZ)
• PowerShares Intl Dividend Achievers (PID)
• ProShares Short Financials (SEF)
• SPDR S&P Biotech ETF (XBI)

Here are the ETFs that have fallen out of the top 111:

• iShares Goldman Sachs Network Index Fund (IGN)
• PowerShares Dynamic Biotech &Genome (PBE)
• PowerShares Dynamic LargeCap Growth (PWB)
• PowerShares Dynamic Media (PBS)
• PowerShares Dynamic Retail (PMR) *
• Rydex 2x S&P 500 ETF (RSU)
• Rydex S&P SmallCap 600 Pure Value ETF (RZV)
• SPDR KBW Capital Markets ETF (KCE)

As previously mentioned two indexes have also been added.  One was in response to a subscriber request and the other is an index used as the benchmark for the newly added ProShares UltraShort Consumer Services (SCC).

Because the 70 new ETFs are being added this quarter, the deletions listed above actually wind up somewhere in the new list of 70.  The exception is PMR which dropped out of the top 181 altogether.

The expanded ETF list introduces a wide variety of sectors and industry groups as well as two large, but previously unrepresented, sponsors, First Trust and WisdomTree.

Although I typically design my own breadth indicators, in my opinion, you can’t deny this A/D Line for the S&P 500 Index on 10-26-2009.

The A/D Line is calculated by starting at 0 (zero) and accumulating the difference between advancing issues (A) minus declining issues (D) within the index or ETF, in this case the S&P 500 Index.  A very simple calculation, but one that is very seasoned and highly regarded.

One way it is used is divergence.  Divergence is one of my least favorite measures of what a composite like the S&P 500 Index might be doing, but if you followed it in the example above you would be a very happy camper.  The idea is that when the index makes a new high, the A/D Line also must be making new highs.  If not, then that is a sign the price move might be breaking down.  The chart above shows no divergence since July of 2009.  So if you were long the index, this indicator says you should still be long and only now as the A/D Line may be rounding off should you be alert to possible declines.  Divergence (or lack of it in this case) says the up move is still place.

Since this chart only shows a lack of divergence, here is an example from Steve Achelis of MetaStock showing divergence: 

“The DJIA was making new highs during the 12 months leading up to the 1987 crash. During this same period, the A/D Line was failing to reach new highs. This type of divergence, where the generals lead and the troops refuse to follow, usually results in the generals retreating in defeat as happened in 1987.”

“A military analogy is often used when discussing the relationship between the A/D Line and the DJIA. The analogy is that trouble looms when the generals lead (e.g., the DJIA is making new highs) and the troops refuse to follow (e.g., the A/D Line fails to make new highs).”

The quarterly revision of the MasterDATA Compilation List is now complete and again reflects the top 111 trade volume ETFs.  Subject to our inclusion criteria, this list is revised quarterly to reflect the most highly traded, liquid US equity Exchange Traded Funds.

To review all of the additions / deletions to MasterDATA’s Compilation List since the beginning, click here or on “Compilation List Revisions” in the left column under “Categories”.

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For the current MasterDATA Compilation List, please click here.
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Click on the Index or ETF names below to see breadth charts on that issue.  These charts and indicators are available nowhere else on the Internet.

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New ETF Additions
These new additions ranked in the top 111 trade volume ETFs on October 2, 2009:

• iShares Goldman Sachs Network Index Fund (IGN)
• PowerShares Dividend Achievers (PEY)
• PowerShares Dynamic Biotech &Genome (PBE)
• PowerShares Dynamic LargeCap Value (PWV)
• PowerShares Dynamic Media (PBS)
• PowerShares Dynamic Retail (PMR)
• Rydex S&P Smallcap 600 Pure Value (RZV)

Deleted ETFs:
The deleted ETFs below experienced trade volume less than the top 111 ETFs at the end of the quarter.

• HOLDRS Biotech (BBH)
• iShares Dow Jones U.S. Consumer Index Fund (IYC)
• iShares Dow Jones U.S. Industrial Sector Index Fund (IYJ)
• iShares Dow Jones U.S. Regional Banks Index Fund (IAT)
• iShares Dow Jones U.S. Utilities Index Fund (IDU)
• Rydex Russell Top 50 ETF (XLG)
• SPDR S&P Biotech ETF (XBI)
  

The quarterly revision of the MasterDATA Compilation List is now complete and again reflects the top 111 trade volume ETFs.  Subject to our inclusion criteria, this list is revised quarterly to reflect the most highly traded, liquid US equity Exchange Traded Funds.

Vanguard continues to be unresponsive to our repeated requests for accurate, timely constituent lists.  While they admit that it would be a good thing to do, they also say that they are simply not going to do anything about it.  So, a management decision is in order.  I cannot post data on the website that is unreliable, at best.  Thus, Vanguard ETFs will no longer be included in the compilation list.  I haven’t given up on Vanguard and will continue the lobbying effort, but for now I know this is the right thing to do.  Actually, many of their ETFs had dropped out of the top 111 so this is not as big a deal as it could be.  Some day, Vanguard will realize that withholding information from the investing public only hurts themselves.  At the other end of the spectrum is iShares who has my highest praise for their efforts in providing as much up to date data as they can.  The ever growing popularity of their funds speaks for itself.

As I mentioned at the time of the last quarterly revision, there is a problem obtaining constituent lists for some of the Direxion ETFs.  As I mentioned previously, they do publish their current constituent lists every day on their website.  But, their ETFs are leveraged and, as a result, contain things other than stocks such as swaps.  In other words, the actual constituent list is not very useful for compiling composite breadth data.  So for their ETFs based upon things like the Russell 1000 Financial or Russell 1000 Energy indexes ((neither of which are “official” Russell indexes but only a part of their larger indexes) constituent lists are difficult to obtain and not for publication.  Direxion ETFs based on this type of “index” segment therefore will not be included in the compilation list

Enough editorializing.  To review all of the additions / deletions to MasterDATA’s Compilation List since the beginning, click here or on “Compilation List Revisions” in the left column under “Categories”.

______________________________________________________________________
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For the current MasterDATA Compilation List, please click here.
______________________________________________________________________

Subscribers may click on the Index or ETF names below to see breadth charts on that issue.  These charts and indicators are available nowhere else on the Internet.

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New ETF Additions
These new additions ranked in the top 111 trade volume ETFs on July 6, 2009:

• HOLDRS Biotech (BBH)
• iShares Dow Jones U.S. Consumer Index Fund (IYC)
• iShares Dow Jones U.S. Industrial Sector Index Fund (IYJ)
• iShares Dow Jones U.S. Oil Equipment & Services Index Fund (IEZ)
• iShares Dow Jones U.S. Utilities Index Fund (IDU)
• iShares Goldman Sachs Semiconductor Index Fund (IGW)
• iShares Russell Microcap Index Fund (IWC)
• PowerShares BLDRS Emerging Markets 50 ADR Index Fund (ADRE)
• PowerShares Dynamic LargeCap Growth (PWB)
• ProShares UltraShort Semiconductors (SSG)
• SPDR S&P Oil & Gas Equip & Service (XES)

Deleted ETFs:
The deleted ETFs below experienced trade volume less than the top 111 ETFs at the end of the quarter.

• iShares Dow Jones U.S. Oil Equipment & Services Index Fund (IEZ)
• Vanguard Viper Div Appreciation (VIG)
• Vanguard Viper Ext Market (VXF)
• Vanguard Viper Financials (VFH)
• Vanguard Viper Growth (VUG)
• Vanguard Viper LargeCap (VV)
• Vanguard Viper MidCap (VO)
• Vanguard Viper MidCap Growth (VOT)
• Vanguard Viper REIT (VNQ)
• Vanguard Viper SmCap (VB)
• Vanguard Viper Tot Stk Mkt (VTI)
• Vanguard Viper Value (VTV)

Our Index / ETF Compilation List is adjusted to, once again, reflect the top 111 trade volume ETFs.  Subject to our inclusion criteria, this list is revised quarterly to reflect the most highly traded, liquid US listed stock Exchange Traded Funds.

Frankly, I am cheating a little bit, because I should be doing this on the first weekend of the new quarter.  But, the Direxion ETFs have captured so much attention, I don’t think anyone will complain too much about updating our list and thereby including four Direxion ETFs two days before the end of the quarter. 

Speaking of Direxion ETFs, there would have been four more of this sponsor’s ETFs except for a problem in obtaining constituent lists.  I do not blame Direxion.  First, they do publish their current constituent lists every day on their website.  But, their ETFs are leveraged and, as a result, contain things other than stocks such as swaps.  In other words, the actual constituent list is not very useful for compiling composite breadth data.  For this type of ETF, we utilize the constituent list of the index upon which the ETF is based.  Both ProShares and some Rydex funds are similar in this respect.  In the case of the Direxion ETFs I so far cannot locate a constituent list for either the Russell 1000 Financial or Russell 1000 Energy indexes.   Both are sponsored by the AMEX and while the AMEX freely provides constituent lists on their other indexes, they do not, as yet, provide lists for these two indexes (at least not in the “normal” location).  If anyone knows where these constituent lists are hiding out, please let me know and we will add four more Direxion ETFs immediately.

That does bring me to a sore point, Indexes and ETFs that do not provide investors with readily available constituent lists.  Currently the worst offender is Vanguard.  Vanguard has been around forever and is pretty arrogant about what you, the individual investor, really need.  My last correspondence with them ended with their comment “Yes, current constituent lists would be a good for investors.  No, we are not going to provide current constituent lists.”  I am paraphrasing a somewhat, but not much.

So with this revision, it gave me a degree of pleasure to drop seven of Vanguard’s ETFs as their trade volume declined sufficiently to knock them out of the top 111 trade volume ETFs.  I would like to think that you investors recognised their less than “user friendly” position.  On the other hand, in all fairness, the MSCI indexes upon which most of their funds are based, provide no current constituent lists electing to sell them instead to institutional resources such as Bloomberg.  In the interest of leveling the playing field, I feel this is just wrong in today’s market environment.  If enough investors voice a complaint, this will probably be resolved one day.  MSCI can be contacted at http://ir.msci.com/contactus.cfm  and Vanguard at https://personal.vanguard.com/us/home?fromPage=portal.  What really disturbs me most about these guys is their incredible “we know better than the individual investor” arrogance.

OK, back to the business at hand.  To review all of the additions / deletions to MasterDATA’s Compilation List since the beginning, click here or on “Compilation List Revisions” in the left column under “Categories”.

______________________________________________________________________
-
For the current MasterDATA Compilation List, please click here.
______________________________________________________________________

Subscribers may click on the Index or ETF names below to see breadth charts on that issue.  These charts and indicators are available nowhere else on the Internet.

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New ETF Additions
These new additions ranked in the top 111 trade volume ETFs on March 29, 2009:

• Direxion Large Cap Bull 3x Shares (BGU)
• Direxion Small Cap Bull 3x Shares (TNA)
• Direxion Large Cap Bear 3x Shares (BGZ)
• Direxion Small Cap Bear 3x Shares (TZA)
• SPDR S&P Dividend ETF (SDY)

Deleted ETFs:
The deleted ETFs below experienced trade volume less than the top 111 ETFs at the end of the quarter.

• iShares Dow Jones U.S. Oil Equipment & Services Index Fund (IEZ)
• iShares Goldman Sachs Semiconductor Index Fund (IGW)
• iShares Goldman Sachs Software Index Fund (IGV)
• iShares Russell 3000 Growth (IWZ)
• iShares Russell Microcap Index Fund (IWC)
• PowerShares BLDRS Emerging Markets 50 ADR Index Fund (ADRE)
• PowerShares Dynamic LargeCap Growth (PWB)
• PowerShares Dynamic LargeCap Value (PWV)
• PowerShares Dynamic Mid Cap Growth (PWJ)
• PowerShares FTSE RAFI US 1000 Portfolio (PRF)
• Vanguard Consumer Discretion ETF – DNQ (VCR)
• Vanguard Energy ETF (VDE)
• Vanguard Materials ETF – DNQ (VAW)
• Vanguard Mega Cap 300 ETF (MGC)
• Vanguard Mid-Cap Value ETF – DNQ (VOE)
• Vanguard Small-Cap Value ETF – DNQ (VBR)
• Vanguard Utilities ETF – DNQ (VPU)

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Details will be posted here shortly. Subscriber downloader programs willl be updated sutomatically.
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The number of constituents above, equal to and below the 50 day moving average has been added to the historical datafiles (also for weekly, monthly and quarterly data periods).   This addition brings to six statistics for the number of constituents above and below the 4, 9, 18, 30, 50 and 200 day moving averages.

MasterDATACSV Users (download historical .csv format datafiles):

Look for these new statistics in the four datafile columns to the furthest right (formerly called fv2, fv3, fv4, and fv5).

MasterDATA Composite Plug-in Users (use our historical data directly in MetaStock):

In order to use this new statistic with the plug-in, you need to download a new “StatisticTitles.csv” file.  To download this new file now, click here.  Save it to the same directory as the old file.  If you used all the default locations, that directory is “C:\MasterDATA\CSVFiles”.  Rename or overwrite the old file.

This addition should not affect any of your previous work.